Theoretical Physics

Classical Mechanics by  HERBERT GOLDSTEIN 
This book provides a good introduction to Lagrangian and Hamiltonian mechanics and includes other topics like Poisson Brackets, and also a very nice discussion on Schrodinger's wave analogy that led him to his equation. There are also chapters on relativistic dynamics.

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Classical Electrodynamics  by John David Jackson

This later edition doesn't seem to have things easier for the reader...but it still is the classic text that any graduate student in theoretical physics needs to sink his teeth into (at least for a while). The end of chapter problems have a legendary status on being difficult or downright tedious.

Having the "Mathematical Methods" book by Arfken as a supplementary text helps.

Principles of Quantum Mechanics, by R. Shankar

Can quantum mechanics be introduced gently yet logically? Can you learn not just the formalism but how to do practical calculations? Can you have your obvious questions answered immediately rather than have them swept under the rug? Can you see all the details discussed in plain language? 

Read this book.

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